A simple pairs trading strategy

strategies/PairsTradingBot.cs

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+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class PairsTradingBot : Strategy
+    {
+        private const int FirstSymbolBars = 0;
+        private const int SecondSymbolBars = 1;
+
+        private const double EntryZScore = 2.0;
+        private const double ExitZScore = 0.5;
+
+        private double spread;
+        private double meanSpread;
+        private double stdDevSpread;
+        private Series<double> spreadSeries;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Simple pairs trading strategy";
+                Name = "Pairs Trading Bot";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+                EntryHandling = EntryHandling.AllEntries;
+                IsExitOnSessionCloseStrategy = true;
+                ExitOnSessionCloseSeconds = 30;
+                IsFillLimitOnTouch = false;
+                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
+                OrderFillResolution = OrderFillResolution.Standard;
+                Slippage = 0;
+                StartBehavior = StartBehavior.WaitUntilFlat;
+                TimeInForce = TimeInForce.Gtc;
+                TraceOrders = false;
+                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
+                StopTargetHandling = StopTargetHandling.PerEntryExecution;
+                BarsRequiredToTrade = 20;
+                IsInstantiatedOnEachOptimizationIteration = true;
+
+                SecondSymbol = "AAPL";
+                LookbackPeriod = 20;
+            }
+            else if (State == State.Configure)
+            {
+                // First symbol in the pair is the primary data series.
+                AddDataSeries(SecondSymbol, BarsPeriod);
+            }
+            else if (State == State.DataLoaded)
+            {
+                spreadSeries = new Series<double>(this);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            double instrument1Price = Closes[FirstSymbolBars][0];
+            double instrument2Price = Closes[SecondSymbolBars][0];
+
+            spread = instrument1Price - instrument2Price;
+            spreadSeries[0] = spread;
+
+            if (CurrentBar < LookbackPeriod)
+                return;
+
+            meanSpread = SMA(spreadSeries, LookbackPeriod)[0];
+            stdDevSpread = StdDev(spreadSeries, LookbackPeriod)[0];
+
+            double zScore = (spread - meanSpread) / stdDevSpread;
+
+            if (zScore > EntryZScore)
+            {
+                if (Position.MarketPosition != MarketPosition.Short)
+                {
+                    EnterShort(FirstSymbolBars, 1, "Symbol 1 Short");
+                    EnterLong(SecondSymbolBars, 1, "Symbol 2 Short");
+                }
+            }
+            else if (zScore < -EntryZScore)
+            {
+                if (Position.MarketPosition != MarketPosition.Long)
+                {
+                    EnterLong(FirstSymbolBars, 1, "Symbol 1 Long");
+                    EnterShort(SecondSymbolBars, 1, "Symbol 2 Long");
+                }
+            }
+            else if (Math.Abs(zScore) < ExitZScore)
+            {
+                ExitLong();
+                ExitShort();
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Display(Name = "Second Symbol", GroupName = "Pairs Trading Bot", Order = 1)]
+        public string SecondSymbol { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Lookback Period", GroupName = "Pairs Trading Bot", Order = 2)]
+        public int LookbackPeriod { get; set; }
+    }
+}